This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The...

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The...

In this note, we use the newly-developed and refined panel stationary test with structural breaks, as advanced by Carrion-i-Silvestre et al. (2005), to investigate the time-series properties of per capita real GDP for 20 Latin American countries during the 1960-2000 period. The empirical results...

In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of...

In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of...

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and...

In this note, we use the newly-developed and refined panel stationary test with structural breaks, as advanced by Carrion-i-Silvestre et al. (2005), to investigate the time-series properties of per capita real GDP for 20 Latin American countries during the 1960-2000 period. The empirical results...

In this study we use a more powerful nonlinear (logistic) unit root test advanced by Leybourne et al. (1998) to investigate the time-series propertities of per capita real GDP for 26 selected African countries for the period 1960-2000. We strongly reject the null of unit root process for over...